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st: test for correlation between fixed effects and explanatory variablesin panel data


From   HYOJOUNG KIM <hyojoung@u.washington.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: test for correlation between fixed effects and explanatory variablesin panel data
Date   Mon, 22 May 2006 08:04:56 -0700 (PDT)

Dear Statalisters,

I am interested in finding out methods for testing the presence of correlation between fixed effects and explanatory variables in panel data. According to Ida Kristensen and Gregory Wawro (2003), the standard Hausman test is invalid when the errors are heteroscedastic and/or serially correlated. In this context, they suggest the one proposed by Manuel Arellano (1993). My search result, however, shows no Stata implementation of this test method. I'd very appreciate it if you inform me (1) whether this test precedure has been implemented in Stata, if so (2) how I can locate this. Thanks for your help in advance.

hyojoung kim



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